Well, I sure hope that the next version of the IDE has fixed the IIS integration bugs. VS 2003 fixed all of the editor bugs but has introduced some oddities with (my experience so far) asp.net and IIS.
Having to re-execute aspreg_iis.exe -i a couple of times a month because somehow the IIS mappings with ASP.NET get buggered is a pet peeve.
Unable to view page/control in designer error - even though the class IS defined first in the file and a simple IDE quit and restart fixes it. The IDE seems to get confused sometimes when you have a base class like UserControl that you inherit from and add some common code and then you inherit once again to specialize. When viewing the specialized class in the designer you sometimes get the designer error. Sometimes it works. No idea.
IIS gets out of synch with VS sometimes as well. Haven't been able to pinpoint a repeatable pattern, however. Sometimes the IIS meta data gets buggered and you can't create virtual directories and have to go to the command line to remove them manually. This is probably more of a problem with the problematic MMC snap-ins - as well as the refreshing issue with them.
Got any pet peeves? With IIS?